Alternate Method using tools/toolsblack

Alternatively, you can change the skybox brushes to the tools/toolsblack texture. The sky will no longer be visible, allowing your fog settings to color the sky.

Creating a Custom Skybox Texture

Understanding the creation of 2D skyboxes is important. A more in-depth tutorial on creating one is available here.

Much like a regular skybox, you'll want to create six UnlitGeneric textures, each named corresponding to their direction. Leave off the $nofog parameter, however. This allows the fog to overdraw the skybox, without the need for it blending in.